(Exact name of registrant as specified in its charter) |
Delaware | 13-4018068 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer | |
Identification No.) |
c/o Ceres Managed Futures LLC 522 Fifth Avenue New York, |
(Address of principal executive offices) (Zip Code) (855) 672-4468 (Registrant’s telephone number, including area code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
N/A | N/A | N/A |
Large accelerated filer | Accelerated filer | Non-accelerated filerX | ||
Smaller reporting company | Emerging growth company |
March 31, 2022 (Unaudited) | December 31, 2021 | June 30, 2022 (Unaudited) | December 31, 2021 | |||||||||||||
Assets: | ||||||||||||||||
Investment in the Trading Company(1), at fair value | $ | 51,119,640 | $ | 41,318,675 | ||||||||||||
Investment in the Trading Company (1) , at fair value | $ | 51,843,392 | $ | 41,318,675 | ||||||||||||
Redemptions receivable from the Trading Company | 1,425,456 | 114,506 | 138,062 | 114,506 | ||||||||||||
Equity in trading account: | ||||||||||||||||
Unrestricted cash | 92,194,157 | 77,949,156 | 104,630,549 | 77,949,156 | ||||||||||||
Restricted cash | 12,644,519 | 19,943,752 | 13,749,159 | 19,943,752 | ||||||||||||
Net unrealized appreciation on open futures contracts | 2,790,407 | 729,070 | - | 729,070 | ||||||||||||
Net unrealized appreciation on open forward contracts | 2,172,318 | - | 1,537,018 | - | ||||||||||||
Total equity in trading account | 109,801,401 | 98,621,978 | 119,916,726 | 98,621,978 | ||||||||||||
Interest receivable | 12,869 | 2,625 | 78,619 | 2,625 | ||||||||||||
Total assets | $ | 162,359,366 | $ | 140,057,784 | $ | 171,976,799 | $ | 140,057,784 | ||||||||
Liabilities and Partners’ Capital: | ||||||||||||||||
Liabilities: | ||||||||||||||||
Net unrealized depreciation on open futures contracts | $ | 1,435,040 | $ | - | ||||||||||||
Net unrealized depreciation on open forward contracts | $ | - | $ | 421,170 | - | 421,170 | ||||||||||
Accrued expenses: | ||||||||||||||||
Administrative and General Partner’s fees | 90,579 | 85,905 | 102,986 | 85,905 | ||||||||||||
Management fees | 144,072 | 133,980 | 163,550 | 133,980 | ||||||||||||
Incentive fees | 1,671,230 | 81,002 | 1,025,005 | 81,002 | ||||||||||||
Professional fees | 184,711 | 139,228 | 217,057 | 139,228 | ||||||||||||
Redemptions payable to General Partner | - | 200,000 | - | 200,000 | ||||||||||||
Redemptions payable to Limited Partners | 2,540,827 | 2,085,837 | 924,141 | 2,085,837 | ||||||||||||
Total liabilities | 4,631,419 | 3,147,122 | 3,867,779 | 3,147,122 | ||||||||||||
Partners’ Capital: | ||||||||||||||||
General Partner, Class Z, 163,339.585 Units outstanding at March 31, 2022 and December 31, 2021 | 1,846,348 | 1,545,437 | ||||||||||||||
Limited Partners, Class A, 5,876,490.980 and 6,086,081.989 Units outstanding at March 31, 2022 and December 31, 2021, respectively | 155,756,368 | 135,260,404 | ||||||||||||||
Limited Partners, Class Z, 11,079.649 Units outstanding at March 31, 2022 and December 31, 2021 | 125,231 | 104,821 | ||||||||||||||
General Partner, Class Z, 163,339.585 Units outstanding at June 30, 2022 and December 31, 2021 | 2,015,009 | 1,545,437 | ||||||||||||||
Limited Partners, Class A, 5,747,746.143 and 6,086,081.989 Units outstanding at June 30, 2022 and December 31, 2021, respectively | 165,957,340 | 135,260,404 | ||||||||||||||
Limited Partners, Class Z, 11,079.649 Units outstanding at June 30, 2022 and December 31, 2021 | 136,671 | 104,821 | ||||||||||||||
Total partners’ capital (net asset value) | 157,727,947 | 136,910,662 | 168,109,020 | 136,910,662 | ||||||||||||
Total liabilities and partners’ capital | $ | 162,359,366 | $ | 140,057,784 | $ | 171,976,799 | $ | 140,057,784 | ||||||||
Net asset value per Unit: | ||||||||||||||||
Class A | $ | 26.50 | $ | 22.22 | $ | 28.87 | $ | 22.22 | ||||||||
Class Z | $ | 11.30 | $ | 9.46 | $ | 12.34 | $ | 9.46 | ||||||||
(1) | Defined in Note 1. |
Notional ($)/ Number of Contracts | Fair Value | % of Partners’ Capital | Notional ($)/ Number of Contracts | Fair Value | % of Partners’ Capital | |||||||||||||||||||||||||
Futures Contracts Purchased | ||||||||||||||||||||||||||||||
Currencies | 73 | $ | (7,234) | (0.00) | %* | 80 | $ | (455) | (0.00) | %* | ||||||||||||||||||||
Energy | 98 | (18,505) | (0.01) | 149 | (1,685,715) | (1.00) | ||||||||||||||||||||||||
Grains | 359 | 251,502 | 0.16 | 195 | (677,665) | (0.40) | ||||||||||||||||||||||||
Indices | 237 | 848,821 | 0.54 | 115 | (162,862) | (0.10) | ||||||||||||||||||||||||
Interest Rates U.S. | 98 | (139,422) | (0.09) | 92 | 184,531 | 0.11 | ||||||||||||||||||||||||
Interest Rates Non-U.S. | 155 | (276,797) | (0.18) | 190 | 138,291 | 0.08 | ||||||||||||||||||||||||
Livestock | 2 | 240 | 0.00 | * | ||||||||||||||||||||||||||
Metals | 35 | 50,877 | 0.03 | 28 | (108,670) | (0.06) | ||||||||||||||||||||||||
Softs | 105 | 306,534 | 0.19 | 78 | (210,432) | (0.13) | ||||||||||||||||||||||||
Total futures contracts purchased | 1,016,016 | 0.64 | (2,522,977) | (1.50) | ||||||||||||||||||||||||||
Futures Contracts Sold | ||||||||||||||||||||||||||||||
Currencies | 38 | 74,760 | 0.05 | 61 | 81,555 | 0.05 | ||||||||||||||||||||||||
Energy | 1 | (950) | (0.00) | * | 7 | 30,230 | 0.02 | |||||||||||||||||||||||
Grains | 8 | 24,650 | 0.02 | 45 | 269,698 | 0.16 | ||||||||||||||||||||||||
Indices | 140 | (165,885) | (0.10) | 296 | 640,732 | 0.38 | ||||||||||||||||||||||||
Interest Rates U.S. | 416 | 944,914 | 0.60 | 239 | (207,929) | (0.12) | ||||||||||||||||||||||||
Interest Rates Non-U.S. | 701 | 982,254 | 0.62 | 649 | (82,967) | (0.05) | ||||||||||||||||||||||||
Livestock | 18 | (15,022) | (0.01) | 21 | (6,845) | (0.00) | * | |||||||||||||||||||||||
Metals | 5 | (11,620) | (0.01) | 65 | 191,705 | 0.11 | ||||||||||||||||||||||||
Softs | 55 | (58,710) | (0.04) | 126 | 171,758 | 0.10 | ||||||||||||||||||||||||
Total futures contracts sold | 1,774,391 | 1.13 | 1,087,937 | 0.65 | ||||||||||||||||||||||||||
Net unrealized appreciation on open futures contracts | $ | 2,790,407 | 1.77 | % | ||||||||||||||||||||||||||
Net unrealized depreciation on open futures contracts | $ | (1,435,040) | (0.85) | % | ||||||||||||||||||||||||||
Unrealized Appreciation on Open Forward Contracts | ||||||||||||||||||||||||||||||
Currencies | $ 201,384,618 | $ | 3,938,640 | 2.50 | % | $ | 210,445,637 | $ | 4,221,351 | 2.51 | % | |||||||||||||||||||
Metals | 178 | 2,254,298 | 1.43 | 92 | 1,204,184 | 0.71 | ||||||||||||||||||||||||
Total unrealized appreciation on open forward contracts | 6,192,938 | 3.93 | 5,425,535 | 3.22 | ||||||||||||||||||||||||||
Unrealized Depreciation on Open Forward Contracts | ||||||||||||||||||||||||||||||
Currencies | $ 201,399,154 | (2,833,618) | (1.80) | $ | 158,791,660 | (2,721,980) | (1.62) | |||||||||||||||||||||||
Metals | 122 | (1,187,002) | (0.75) | 80 | (1,166,537) | (0.69) | ||||||||||||||||||||||||
Total unrealized depreciation on open forward contracts | (4,020,620) | (2.55) | (3,888,517) | (2.31) | ||||||||||||||||||||||||||
Net unrealized appreciation on open forward contracts | $ | 2,172,318 | 1.38 | % | $ | 1,537,018 | 0.91 | % | ||||||||||||||||||||||
Investment in the Trading Company | ||||||||||||||||||||||||||||||
CMF Winton Master L.P. | $ | 51,119,640 | 32.41 | % | $ | 51,843,392 | 30.84 | % | ||||||||||||||||||||||
* | Due to rounding. |
Notional ($)/ Number of Contracts | Fair Value | % of Partners’ Capital | ||||||||||
Futures Contracts Purchased | ||||||||||||
Currencies | 88 | $ | (30,119) | (0.02) | % | |||||||
Energy | 243 | 599,385 | 0.44 | |||||||||
Grains | 353 | 56,336 | 0.04 | |||||||||
Indices | 308 | 601,764 | 0.44 | |||||||||
Interest Rates U.S. | 354 | 13,617 | 0.01 | |||||||||
Interest Rates Non-U.S. | 777 | (417,936) | (0.31) | |||||||||
Livestock | 18 | 16,250 | 0.01 | |||||||||
Metals | 15 | 11,287 | 0.01 | |||||||||
Softs | 178 | 44,914 | 0.03 | |||||||||
Total futures contracts purchased | 895,498 | 0.65 | ||||||||||
Futures Contracts Sold | ||||||||||||
Currencies | 166 | (135,560) | (0.10) | |||||||||
Energy | 10 | (47,947) | (0.03) | |||||||||
Grains | 37 | 63,863 | 0.05 | |||||||||
Indices | 226 | (434,419) | (0.32) | |||||||||
Interest Rates U.S. | 177 | 2,047 | 0.00 | * | ||||||||
Interest Rates Non-U.S. | 875 | 487,345 | 0.36 | |||||||||
Livestock | 5 | (4,670) | (0.00) | * | ||||||||
Metals | 53 | (103,026) | (0.08) | |||||||||
Softs | 62 | 5,939 | 0.00 | * | ||||||||
Total futures contracts sold | (166,428) | (0.12) | ||||||||||
Net unrealized appreciation on open futures contracts | $ | 729,070 | 0.53 | % | ||||||||
Unrealized Appreciation on Open Forward Contracts | ||||||||||||
Currencies | $ 167,807,766 | $ | 1,744,966 | 1.27 | % | |||||||
Metals | 172 | 822,726 | 0.60 | |||||||||
Total unrealized appreciation on open forward contracts | 2,567,692 | 1.87 | ||||||||||
Unrealized Depreciation on Open Forward Contracts | ||||||||||||
Currencies | $ 198,478,850 | (2,224,046) | (1.62) | |||||||||
Metals | 150 | (764,816) | (0.56) | |||||||||
Total unrealized depreciation on open forward contracts | (2,988,862) | (2.18) | ||||||||||
Net unrealized depreciation on open forward contracts | $ | (421,170) | (0.31) | % | ||||||||
Investment in the Trading Company | ||||||||||||
CMF Winton Master L.P. | $ | 41,318,675 | 30.18 | % | ||||||||
Notional ($)/ Number of Contracts | Fair Value | % of Partners’ Capital | ||||||||||||||||
Futures Contracts Purchased | ||||||||||||||||||
Currencies | 88 | $ | (30,119) | (0.02) | % | |||||||||||||
Energy | 243 | 599,385 | 0.44 | |||||||||||||||
Grains | 353 | 56,336 | 0.04 | |||||||||||||||
Indices | 308 | 601,764 | 0.44 | |||||||||||||||
Interest Rates U.S. | 354 | 13,617 | 0.01 | |||||||||||||||
Interest Rates Non-U.S. | 777 | (417,936) | (0.31) | |||||||||||||||
Livestock | 18 | 16,250 | 0.01 | |||||||||||||||
Metals | 15 | 11,287 | 0.01 | |||||||||||||||
Softs | 178 | 44,914 | 0.03 | |||||||||||||||
Total futures contracts purchased | 895,498 | 0.65 | ||||||||||||||||
Futures Contracts Sold | ||||||||||||||||||
Currencies | 166 | (135,560) | (0.10) | |||||||||||||||
Energy | 10 | (47,947) | (0.03) | |||||||||||||||
Grains | 37 | 63,863 | 0.05 | |||||||||||||||
Indices | 226 | (434,419) | (0.32) | |||||||||||||||
Interest Rates U.S. | 177 | 2,047 | 0.00 | * | ||||||||||||||
Interest Rates Non-U.S. | 875 | 487,345 | 0.36 | |||||||||||||||
Livestock | 5 | (4,670) | (0.00) | * | ||||||||||||||
Metals | 53 | (103,026) | (0.08) | |||||||||||||||
Softs | 62 | 5,939 | 0.00 | * | ||||||||||||||
Total futures contracts sold | (166,428) | (0.12) | ||||||||||||||||
Net unrealized appreciation on open futures contracts | $ | 729,070 | 0.53 | % | ||||||||||||||
Unrealized Appreciation on Open Forward Contracts | ||||||||||||||||||
Currencies | $ | 167,807,766 | $ | 1,744,966 | 1.27 | % | ||||||||||||
Metals | 172 | 822,726 | 0.60 | |||||||||||||||
Total unrealized appreciation on open forward contracts | 2,567,692 | 1.87 | ||||||||||||||||
Unrealized Depreciation on Open Forward Contracts | ||||||||||||||||||
Currencies | $ | 198,478,850 | (2,224,046) | (1.62) | ||||||||||||||
Metals | 150 | (764,816) | (0.56) | |||||||||||||||
Total unrealized depreciation on open forward contracts | (2,988,862) | (2.18) | ||||||||||||||||
Net unrealized depreciation on open forward contracts | $ | (421,170) | (0.31) | % | ||||||||||||||
Investment in the Trading Company | ||||||||||||||||||
CMF Winton Master L.P. | $ | 41,318,675 | 30.18 | % | ||||||||||||||
* | Due to rounding. |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||
Interest income | $ | 18,884 | $ | 10,302 | $ | 145,102 | $ | 3,327 | $ | 163,986 | $ | 13,629 | ||||||||||||
Interest income allocated from the Trading Company | 6,868 | 4,086 | 55,639 | 1,595 | 62,507 | 5,681 | ||||||||||||||||||
Total investment income | 25,752 | 14,388 | 200,741 | 4,922 | 226,493 | 19,310 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Expenses allocated from the Trading Company | 62,572 | 51,207 | 42,210 | 43,453 | 104,782 | 94,660 | ||||||||||||||||||
Clearing fees | 55,690 | 93,617 | 57,347 | 107,875 | 113,037 | 201,492 | ||||||||||||||||||
Administrative and General Partner’s fees | 264,533 | 278,789 | 305,925 | 282,104 | 570,458 | 560,893 | ||||||||||||||||||
Ongoing placement agent fees | 261,310 | 274,820 | 302,062 | 278,624 | 563,372 | 553,444 | ||||||||||||||||||
Management fees | 419,846 | 479,604 | 483,273 | 484,542 | 903,119 | 964,146 | ||||||||||||||||||
Incentive fees | 1,671,230 | 538,838 | 1,025,005 | 396,518 | 2,696,235 | 935,356 | ||||||||||||||||||
Professional fees | 123,337 | 136,414 | 98,008 | 142,694 | 221,345 | 279,108 | ||||||||||||||||||
Total expenses | 2,858,518 | 1,853,289 | 2,313,830 | 1,735,810 | 5,172,348 | 3,589,099 | ||||||||||||||||||
Net investment loss | (2,832,766) | (1,838,901) | (2,113,089 | ) | (1,730,888 | ) | (4,945,855 | ) | (3,569,789 | ) | ||||||||||||||
Trading Results: | ||||||||||||||||||||||||
Net gains (losses) on trading of commodity interests: | ||||||||||||||||||||||||
Net realized gains (losses) on closed contracts | 15,179,784 | 5,418,637 | 17,181,750 | 8,338,483 | 32,361,534 | 13,757,120 | ||||||||||||||||||
Net realized gains (losses) on closed contracts allocated from the Trading Company | 4,745,082 | 4,807,136 | 7,728,362 | 2,466,556 | 12,473,444 | 7,273,692 | ||||||||||||||||||
Net change in unrealized gains (losses) on open contracts | 4,653,828 | (1,813,173) | (4,863,398 | ) | (2,256,703 | ) | (209,570 | ) | (4,069,876 | ) | ||||||||||||||
Net change in unrealized gains (losses) on open contracts allocated from the Trading Company | 4,286,924 | (2,083,613) | (3,886,471 | ) | (86,054 | ) | 400,453 | (2,169,667 | ) | |||||||||||||||
Total trading results | 28,865,618 | 6,328,987 | 16,160,243 | 8,462,282 | 45,025,861 | 14,791,269 | ||||||||||||||||||
Net income (loss) | $ | 26,032,852 | $ | 4,490,086 | $ | 14,047,154 | $ | 6,731,394 | $ | 40,080,006 | $ | 11,221,480 | ||||||||||||
Net income (loss) per Unit*: | ||||||||||||||||||||||||
Class A | $ | 4.28 | $ | 0.66 | $ | 2.37 | $ | 0.99 | $ | 6.65 | $ | 1.65 | ||||||||||||
Class Z | $ | 1.84 | $ | 0.30 | $ | 1.04 | $ | 0.44 | $ | 2.88 | $ | 0.74 | ||||||||||||
Weighted average Units outstanding: | ||||||||||||||||||||||||
Class A | 6,025,850.764 | 6,970,190.296 | 5,820,058.538 | 6,632,974.371 | 5,922,954.651 | 6,801,582.334 | ||||||||||||||||||
Class Z | 174,419.234 | 238,081.761 | 174,419.234 | 195,560.883 | 174,419.234 | 216,821.322 | ||||||||||||||||||
* | Represents the change in net asset value per Unit during the period. |
Class A | Class Z | Total | ||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||
Partners’ Capital, December 31, 2020 | $ | 60,545,493 | 2,873,697.998 | $ | 904,065 | 101,536.878 | $ | 61,449,558 | 2,975,234.876 | |||||||||||||||
Subscriptions - General Partner | - | - | 1,841,454 | 206,904.961 | 1,841,454 | 206,904.961 | ||||||||||||||||||
Subscriptions - Limited Partners | 89,741,721 | 4,259,217.890 | 99,016 | 11,079.649 | 89,840,737 | 4,270,297.539 | ||||||||||||||||||
Redemptions - General Partner | - | - | (1,085,094 | ) | (123,960.605 | ) | (1,085,094 | ) | (123,960.605 | ) | ||||||||||||||
Redemptions - Limited Partners | (13,269,266 | ) | (613,613.511 | ) | - | - | (13,269,266 | ) | (613,613.511 | ) | ||||||||||||||
Net income (loss) | 11,096,576 | - | 124,904 | - | 11,221,480 | - | ||||||||||||||||||
Partners’ Capital, June 30, 2021 | $ | 148,114,524 | 6,519,302.377 | $ | 1,884,345 | 195,560.883 | $ | 149,998,869 | 6,714,863.260 | |||||||||||||||
Partners’ Capital, March 31, 2021 | $ | 145,421,410 | 6,693,118.035 | $ | 1,798,708 | 195,560.883 | $ | 147,220,118 | 6,888,678.918 | |||||||||||||||
Redemptions - Limited Partners | (3,952,643 | ) | (173,815.658 | ) | - | - | (3,952,643 | ) | (173,815.658 | ) | ||||||||||||||
Net income (loss) | 6,645,757 | - | 85,637 | - | 6,731,394 | - | ||||||||||||||||||
Partners’ Capital, June 30, 2021 | $ | 148,114,524 | 6,519,302.377 | $ | 1,884,345 | 195,560.883 | $ | 149,998,869 | 6,714,863.260 | |||||||||||||||
Class A | Class Z | Total | ||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||
Partners’ Capital, December 31, 2020 | $ | 60,545,493 | 2,873,697.998 | $ | 904,065 | 101,536.878 | $ | 61,449,558 | 2,975,234.876 | |||||||||||||||
Subscriptions - General Partner | - | - | 1,841,454 | 206,904.961 | 1,841,454 | 206,904.961 | ||||||||||||||||||
Subscriptions - Limited Partners | 89,741,721 | 4,259,217.890 | 99,016 | 11,079.649 | 89,840,737 | 4,270,297.539 | ||||||||||||||||||
Redemptions - General Partner | - | - | (1,085,094 | ) | (123,960.605 | ) | (1,085,094 | ) | (123,960.605 | ) | ||||||||||||||
Redemptions - Limited Partners | (9,316,623 | ) | (439,797.853 | ) | - | - | (9,316,623 | ) | (439,797.853 | ) | ||||||||||||||
Net income (loss) | 4,450,819 | - | 39,267 | - | 4,490,086 | - | ||||||||||||||||||
Partners’ Capital, March 31, 2021 | $ | 145,421,410 | 6,693,118.035 | $ | 1,798,708 | 195,560.883 | $ | 147,220,118 | 6,888,678.918 | |||||||||||||||
Class A | Class Z | Total | ||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||
Partners’ Capital, December 31, 2021 | $ | 135,260,404 | 6,086,081.989 | $ | 1,650,258 | 174,419.234 | $ | 136,910,662 | 6,260,501.223 | |||||||||||||||
Redemptions - Limited Partners | (5,215,567 | ) | (209,591.009 | ) | - | - | (5,215,567 | ) | (209,591.009 | ) | ||||||||||||||
Net income (loss) | 25,711,531 | - | 321,321 | - | 26,032,852 | - | ||||||||||||||||||
Partners’ Capital, March 31, 2022 | $ | 155,756,368 | 5,876,490.980 | $ | 1,971,579 | 174,419.234 | $ | 157,727,947 | 6,050,910.214 | |||||||||||||||
Class A | Class Z | Total | ||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||
Partners’ Capital, December 31, 2021 | $ | 135,260,404 | 6,086,081.989 | $ | 1,650,258 | 174,419.234 | $ | 136,910,662 | 6,260,501.223 | |||||||||||||||
Redemptions - Limited Partners | (8,881,648 | ) | (338,335.846 | ) | - | - | (8,881,648 | ) | (338,335.846 | ) | ||||||||||||||
Net income (loss) | 39,578,584 | - | 501,422 | - | 40,080,006 | - | ||||||||||||||||||
Partners’ Capital, June 30, 2022 | $ | 165,957,340 | 5,747,746.143 | $ | 2,151,680 | 174,419.234 | $ | 168,109,020 | 5,922,165.377 | |||||||||||||||
Partners’ Capital, March 31, 2022 | $ | 155,756,368 | 5,876,490.980 | $ | 1,971,579 | 174,419.234 | $ | 157,727,947 | 6,050,910.214 | |||||||||||||||
Redemptions - Limited Partners | (3,666,081 | ) | (128,744.837 | ) | - | - | (3,666,081 | ) | (128,744.837 | ) | ||||||||||||||
Net income (loss) | 13,867,053 | - | 180,101 | - | 14,047,154 | - | ||||||||||||||||||
Partners’ Capital, June 30, 2022 | $ | 165,957,340 | 5,747,746.143 | $ | 2,151,680 | 174,419.234 | $ | 168,109,020 | 5,922,165.377 | |||||||||||||||
1. | Organization: |
2. | Basis of Presentation and Summary of Significant Accounting Policies: |
3. | Financial Highlights: |
Three Months Ended March 31, | ||||||||||||||||
2022 | 2021 | |||||||||||||||
Class A | Class Z | Class A | Class Z | |||||||||||||
Per Unit Performance (for a unit outstanding throughout the period):* | ||||||||||||||||
Net realized and unrealized gains (losses) | $ | 4.74 | $ | 2.02 | $ | 0.92 | $ | 0.40 | ||||||||
Net investment loss | (0.46) | (0.18) | (0.26) | (0.10) | ||||||||||||
Increase (decrease) for the period | 4.28 | 1.84 | 0.66 | 0.30 | ||||||||||||
Net asset value per Unit, beginning of period | 22.22 | 9.46 | 21.07 | 8.90 | ||||||||||||
Net asset value per Unit, end of period | $ | 26.50 | $ | 11.30 | $ | 21.73 | $ | 9.20 | ||||||||
Three Months Ended March 31, | ||||||||||||||||
2022 | 2021 | |||||||||||||||
Class A | Class Z | Class A | Class Z | |||||||||||||
Ratios to Average Limited Partners’ Capital: ** | ||||||||||||||||
Net investment loss *** | (4.5) | % | (3.6) | % | (4.6) | % | (3.2) | % | ||||||||
Operating expenses | 3.3 | % | 2.6 | % | 4.3 | % | 2.8 | % | ||||||||
Incentive fees | 1.2 | % | 1.1 | % | 0.4 | % | 0.4 | % | ||||||||
Total expenses | 4.5 | % | 3.7 | % | 4.7 | % | 3.2 | % | ||||||||
Total return: | ||||||||||||||||
Total return before incentive fees | 20.5 | % | 20.7 | % | 3.5 | % | 3.7 | % | ||||||||
Incentive fees | (1.2) | % | (1.2) | % | (0.4) | % | (0.3) | % | ||||||||
Total return after incentive fees | 19.3 | % | 19.5 | % | 3.1 | % | 3.4 | % | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||
Class A | Class Z | Class A | Class Z | Class A | Class Z | Class A | Class Z | |||||||||||||||||||||||||
Per Unit Performance (for a unit outstanding throughout the period):* | ||||||||||||||||||||||||||||||||
Net realized and unrealized gains (losses) | $ | 2.73 | $ | 1.17 | $ | 1.25 | $ | 0.53 | $ | 7.48 | $ | 3.19 | $ | 2.17 | $ | 0.93 | ||||||||||||||||
Net investment loss | (0.36) | (0.13) | (0.26) | (0.09) | (0.83) | (0.31) | (0.52) | (0.19) | ||||||||||||||||||||||||
Increase (decrease) for the period | 2.37 | 1.04 | 0.99 | 0.44 | 6.65 | 2.88 | 1.65 | 0.74 | ||||||||||||||||||||||||
Net asset value per Unit, beginning of period | 26.50 | 11.30 | 21.73 | 9.20 | 22.22 | 9.46 | 21.07 | 8.90 | ||||||||||||||||||||||||
Net asset value per Unit, end of period | $ | 28.87 | $ | 12.34 | $ | 22.72 | $ | 9.64 | $ | 28.87 | $ | 12.34 | $ | 22.72 | $ | 9.64 | ||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||
Class A | Class Z | Class A | Class Z | Class A | Class Z | Class A | Class Z | |||||||||||||||||||||||||
Ratios to Average Limited Partners’ Capital: ** | ||||||||||||||||||||||||||||||||
Net investment loss *** | (3.3) | % | (2.5) | % | (3.9) | % | (3.1) | % | (4.6) | % | (3.9) | % | (4.6) | % | (3.4) | % | ||||||||||||||||
Operating expenses | 3.2 | % | 2.4 | % | 3.6 | % | 2.8 | % | 3.2 | % | 2.5 | % | 3.9 | % | 2.8 | % | ||||||||||||||||
Incentive fees | 0.6 | % | 0.6 | % | 0.3 | % | 0.3 | % | 1.7 | % | 1.7 | % | 0.7 | % | 0.6 | % | ||||||||||||||||
Total expenses | 3.8 | % | 3.0 | % | 3.9 | % | 3.1 | % | 4.9 | % | 4.2 | % | 4.6 | % | 3.4 | % | ||||||||||||||||
Total return: | ||||||||||||||||||||||||||||||||
Total return before incentive fees | 9.6 | % | 9.8 | % | 4.8 | % | 5.0 | % | 32.0 | % | 32.5 | % | 8.5 | % | 9.0 | % | ||||||||||||||||
Incentive fees | (0.7) | % | (0.6) | % | (0.2) | % | (0.2) | % | (2.1) | % | (2.1) | % | (0.7) | % | (0.7) | % | ||||||||||||||||
Total return after incentive fees | 8.9 | % | 9.2 | % | 4.6 | % | 4.8 | % | 29.9 | % | 30.4 | % | 7.8 | % | 8.3 | % | ||||||||||||||||
* | Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. |
** | Annualized (except for incentive fees). |
*** | Interest income less total expenses. |
4. | Financial Instrument Risks: |
5. | Trading Activities: |
Gross Amounts Recognized | Gross Amounts Offset in the Statements of Financial Condition | Amounts Presented in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amount | Gross Amounts | Amounts | Gross Amounts Not Offset in the | |||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | Financial Instruments | Cash Collateral Received/ Pledged* | ||||||||||||||||||||||||||||||||||||||||||||||
Offset in the | Presented in the | Statements of Financial Condition | ||||||||||||||||||||||||||||||||||||||||||||||
Gross | Statements of | Statements of | Cash Collateral | |||||||||||||||||||||||||||||||||||||||||||||
Amounts | Financial | Financial | Financial | Received/ | ||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | Recognized | Condition | Condition | Instruments | Pledged* | Net Amount | ||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 4,469,678 | $ | (1,679,271) | $ | 2,790,407 | $ | 0 | $ | 0 | $ | 2,790,407 | $ | 2,366,423 | $ | (2,366,423) | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||||||||
Forwards | 6,192,938 | (4,020,620) | 2,172,318 | 0 | 0 | 2,172,318 | 5,425,535 | (3,888,517) | 1,537,018 | - | - | 1,537,018 | ||||||||||||||||||||||||||||||||||||
Total assets | $ | 10,662,616 | $ | (5,699,891) | $ | 4,962,725 | $ | 0 | $ | 0 | $ | 4,962,725 | $ | 7,791,958 | $ | (6,254,940) | $ | 1,537,018 | $ | - | $ | - | $ | 1,537,018 | ||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | (1,679,271) | $ | 1,679,271 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (3,801,463) | $ | 2,366,423 | $ | (1,435,040) | $ | - | $ | 1,435,040 | $ | - | ||||||||||||||||||||||||
Forwards | (4,020,620) | 4,020,620 | 0 | 0 | 0 | 0 | (3,888,517) | 3,888,517 | - | - | - | - | ||||||||||||||||||||||||||||||||||||
Total liabilities | $ | (5,699,891) | $ | 5,699,891 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (7,689,980) | $ | 6,254,940 | $ | (1,435,040) | $ | - | $ | 1,435,040 | $ | - | ||||||||||||||||||||||||
Net fair value | $ | 4,962,725 | * | $ | 1,537,018 | * | ||||||||||||||||||||||||||||||||||||||||||
Gross Amounts Recognized | Gross Amounts Offset in the Statements of Financial Condition | Amounts Presented in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amount | ||||||||||||||||||||
December 31, 2021 | Financial Instruments | Cash Collateral Received/ Pledged* | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Futures | $ | 2,679,698 | $ | (1,950,628) | $ | 729,070 | $ | - | $ | - | $ | 729,070 | ||||||||||||
Forwards | 2,567,692 | (2,567,692) | - | - | - | - | ||||||||||||||||||
Total assets | $ | 5,247,390 | $ | (4,518,320) | $ | 729,070 | $ | - | $ | - | $ | 729,070 | ||||||||||||
Liabilities | ||||||||||||||||||||||||
Futures | $ | (1,950,628) | $ | 1,950,628 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Forwards | (2,988,862) | 2,567,692 | (421,170) | - | 421,170 | - | ||||||||||||||||||
Total liabilities | $ | (4,939,490) | $ | 4,518,320 | $ | (421,170) | $ | - | $ | 421,170 | $ | - | ||||||||||||
Net fair value | $ | 729,070 | * | |||||||||||||||||||||
Gross Amounts | Amounts | Gross Amounts Not Offset in the | ||||||||||||||||||||||
Offset in the | Presented in the | Statements of Financial Condition | ||||||||||||||||||||||
Gross | Statements of | Statements of | Cash Collateral | |||||||||||||||||||||
Amounts | Financial | Financial | Financial | Received/ | ||||||||||||||||||||
December 31, 2021 | Recognized | Condition | Condition | Instruments | Pledged* | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Futures | $ | 2,679,698 | $ | (1,950,628) | $ | 729,070 | $ | - | $ | - | $ | 729,070 | ||||||||||||
Forwards | 2,567,692 | (2,567,692) | - | - | - | - | ||||||||||||||||||
Total assets | $ | 5,247,390 | $ | (4,518,320) | $ | 729,070 | $ | - | $ | - | $ | 729,070 | ||||||||||||
Liabilities | ||||||||||||||||||||||||
Futures | $ | (1,950,628) | $ | 1,950,628 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Forwards | (2,988,862) | 2,567,692 | (421,170) | - | 421,170 | - | ||||||||||||||||||
Total liabilities | $ | (4,939,490) | $ | 4,518,320 | $ | (421,170) | $ | - | $ | 421,170 | $ | - | ||||||||||||
Net fair value | $ | 729,070 | * | |||||||||||||||||||||
* | In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
June 30, 2022 | ||||||||
Assets | ||||||||
Futures Contracts | ||||||||
Currencies | $ | 125,787 | ||||||
Energy | 35,990 | |||||||
Grains | 340,211 | |||||||
Indices | 703,194 | |||||||
Interest Rates U.S. | 251,617 | |||||||
Interest Rates Non-U.S. | 521,994 | |||||||
Livestock | 6,420 | |||||||
Metals | 194,175 | |||||||
Softs | 187,035 | |||||||
Total unrealized appreciation on open futures contracts | 2,366,423 | |||||||
Liabilities | ||||||||
Futures Contracts | ||||||||
Currencies | (44,687) | |||||||
Energy | (1,691,475) | |||||||
Grains | (748,178) | |||||||
Indices | (225,324) | |||||||
Interest Rates U.S. | (275,015) | |||||||
Interest Rates Non-U.S. | (466,670) | |||||||
Livestock | (13,265) | |||||||
Metals | (111,140) | |||||||
Softs | (225,709) | |||||||
Total unrealized depreciation on open futures contracts | (3,801,463) | |||||||
Net unrealized depreciation on open futures contracts | $ | (1,435,040) | * | |||||
Assets | ||||||||
Forward Contracts | ||||||||
Currencies | $ | 4,221,351 | ||||||
Metals | 1,204,184 | |||||||
Total unrealized appreciation on open forward contracts | 5,425,535 | |||||||
Liabilities | ||||||||
Forward Contracts | ||||||||
Currencies | (2,721,980) | |||||||
Metals | (1,166,537) | |||||||
Total unrealized depreciation on open forward contracts | (3,888,517) | |||||||
Net unrealized appreciation on open forward contracts | $ | 1,537,018 | ** | |||||
* | This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition. |
** | This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. |
Assets | ||||
Futures Contracts | ||||
Currencies | ||||
$ | 27,947 | |||
Energy | 667,615 | |||
Grains | 277,755 | |||
Indices | 654,155 | |||
Interest Rates U.S. | 125,562 | |||
Interest Rates Non-U.S. | 699,662 | |||
Livestock | 16,490 | |||
Metals | 58,181 | |||
Softs | 152,331 | |||
Total unrealized appreciation on open futures contracts | 2,679,698 | |||
Liabilities | ||||
Futures Contracts | ||||
Currencies | (193,626) | |||
Energy | (116,177) | |||
Grains | (157,556) | |||
Indices | (486,810) | |||
Interest Rates U.S. | (109,898) | |||
Interest Rates Non-U.S. | (630,253) | |||
Livestock | (4,910) | |||
Metals | (149,920) | |||
Softs | (101,478) | |||
Total unrealized depreciation on open futures contracts | (1,950,628) | |||
Net unrealized appreciation on open futures contracts | $ | 729,070 | * | |
Assets | ||||
Forward Contracts | ||||
Currencies | $ | 1,744,966 | ||
Metals | 822,726 | |||
Total unrealized appreciation on open forward contracts | 2,567,692 | |||
Liabilities | ||||
Forward Contracts | ||||
Currencies | (2,224,046) | |||
Metals | (764,816) | |||
Total unrealized depreciation on open forward contracts | (2,988,862) | |||
Net unrealized depreciation on open forward contracts | $ | (421,170) | ** | |
* | This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. |
** | This amount is in “Net unrealized depreciation on open forward contracts” in the Statements of Financial Condition. |
Three Months Ended March 31, | ||||||||
Sector | 2022 | 2021 | ||||||
Currencies | $ | 2,336,209 | $ | 1,160,513 | ||||
Energy | 10,435,980 | 1,677,819 | ||||||
Grains | 2,110,510 | 1,536,622 | ||||||
Indices | 295,140 | 3,495,310 | ||||||
Interest Rates U.S. | 1,036,274 | (1,937,227) | ||||||
Interest Rates Non-U.S. | 1,226,231 | (2,541,160) | ||||||
Livestock | (61,488) | (14,325) | ||||||
Metals | 1,908,623 | 93,779 | ||||||
Softs | 546,133 | 134,133 | ||||||
Total | $ | 19,833,612 | *** | $ | 3,605,464 | *** | ||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||
Sector | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
Currencies | $ | 6,250,932 | $ | (1,314,583 | ) | $ | 8,587,141 | $ | (154,070 | ) | ||||||||||||||
Energy | 1,690,968 | 4,392,408 | 12,126,948 | 6,070,227 | ||||||||||||||||||||
Grains | (569,483 | ) | 2,168,189 | 1,541,027 | 3,704,811 | |||||||||||||||||||
Indices | (257,523 | ) | 2,870,933 | 37,617 | 6,366,243 | |||||||||||||||||||
Interest Rates U.S. | 1,900,841 | (1,708,045 | ) | 2,937,115 | (3,645,272 | ) | ||||||||||||||||||
Interest Rates Non-U.S. | 3,597,313 | (1,297,364 | ) | 4,823,544 | (3,838,524 | ) | ||||||||||||||||||
Livestock | (8,809 | ) | (100,408 | ) | (70,297 | ) | (114,733 | ) | ||||||||||||||||
Metals | (96,802 | ) | 757,688 | 1,811,821 | 851,467 | |||||||||||||||||||
Softs | (189,085 | ) | 312,962 | 357,048 | 447,095 | |||||||||||||||||||
Total | $ | 12,318,352 | *** | $ | 6,081,780 | *** | $ | 32,151,964 | *** | $ | 9,687,244 | *** | ||||||||||||
*** | This amount is in “Total trading results” in the Statements of |
6. | Fair Value Measurements: |
June 30, 2022 | Total | Level 1 | Level 2 | Level 3 | ||||||||||||||
Assets | ||||||||||||||||||
Futures | $ | 2,366,423 | $ | 2,366,423 | $ | - | $ | - | ||||||||||
Forwards | 5,425,535 | - | 5,425,535 | - | ||||||||||||||
Total assets | $ | 7,791,958 | $ | 2,366,423 | $ | 5,425,535 | $ | - | ||||||||||
Liabilities | ||||||||||||||||||
Futures | $ | 3,801,463 | $ | 3,801,463 | $ | - | $ | - | ||||||||||
Forwards | 3,888,517 | - | 3,888,517 | - | ||||||||||||||
Total liabilities | $ | 7,689,980 | $ | 3,801,463 | $ | 3,888,517 | $ | - | ||||||||||
March 31, 2022 | Total | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||
Futures | $ | 4,469,678 | $ | 4,469,678 | $ | 0 | $ | 0 | ||||||||||||||||||||||||||
Forwards | 6,192,938 | 0 | 6,192,938 | 0 | ||||||||||||||||||||||||||||||
Total assets | $ | 10,662,616 | $ | 4,469,678 | $ | 6,192,938 | $ | 0 | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||
Futures | $ | 1,679,271 | $ | 1,679,271 | $ | 0 | $ | 0 | ||||||||||||||||||||||||||
Forwards | 4,020,620 | 0 | 4,020,620 | 0 | ||||||||||||||||||||||||||||||
Total liabilities | $ | 5,699,891 | $ | 1,679,271 | $ | 4,020,620 | $ | 0 | ||||||||||||||||||||||||||
December 31, 2021 | Total | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||
Futures | $ | 2,679,698 | $ | 2,679,698 | $ | 0 | $ | 0 | $ | 2,679,698 | $ | 2,679,698 | $ | - | $ | - | ||||||||||||||||||
Forwards | 2,567,692 | 0 | 2,567,692 | 0 | 2,567,692 | - | 2,567,692 | - | ||||||||||||||||||||||||||
Total assets | $ | 5,247,390 | $ | 2,679,698 | $ | 2,567,692 | $ | 0 | $ | 5,247,390 | $ | 2,679,698 | $ | 2,567,692 | $ | - | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||
Futures | $ | 1,950,628 | $ | 1,950,628 | $ | 0 | $ | 0 | $ | 1,950,628 | $ | 1,950,628 | $ | - | $ | - | ||||||||||||||||||
Forwards | 2,988,862 | 0 | 2,988,862 | 0 | 2,988,862 | - | 2,988,862 | - | ||||||||||||||||||||||||||
Total liabilities | $ | 4,939,490 | $ | 1,950,628 | $ | 2,988,862 | $ | 0 | $ | 4,939,490 | $ | 1,950,628 | $ | 2,988,862 | $ | - | ||||||||||||||||||
7. | Investment in the Trading Company: |
March 31, 2022 | ||||||||||||
Total Assets | Toal Liabilities | Total Capital | ||||||||||
CMF Winton | $ | 52,561,665 | $ | 1,446,947 | $ | 51,114,718 | ||||||
December 31, 2021 | ||||||||||||
Total Assets | Toal Liabilities | Total Capital | ||||||||||
CMF Winton | $ | 41,512,628 | $ | 194,879 | $ | 41,317,749 |
June 30, 2022 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
CMF Winton | $ | 52,262,514 | $ | 449,513 | $ | 51,813,001 |
December 31, 2021 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
CMF Winton | $ | 41,512,628 | $ | 194,879 | $ | 41,317,749 |
For the three months ended June 30, 2022 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
CMF Winton | $ | 13,429 | $ | 3,841,891 | $ | 3,855,320 |
For the three months ended March 31, 2022 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
CMF Winton | $ | (55,704) | $ | 9,032,006 | $ | 8,976,302 | ||||||
For the three months ended March 31, 2021 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
CMF Winton | $ | (47,121) | $ | 2,723,523 | $ | 2,676,402 |
For the six months ended June 30, 2022 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
CMF Winton | $ | (42,275 | ) | $ | 12,873,897 | $ | 12,831,622 |
For the three months ended June 30, 2021 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
CMF Winton | $ | (41,858 | ) | $ | 2,380,502 | $ | 2,338,644 |
For the six months ended June 30, 2021 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
CMF Winton | $ | (88,979 | ) | $ | 5,104,025 | $ | 5,015,046 |
June 30, 2022 | For the three months ended June 30, 2022 | |||||||||||||||||||||||||||
% of | Expenses | Net | ||||||||||||||||||||||||||
Partners’ | Fair | Income | Clearing | Professional | Income | Investment | Redemptions | |||||||||||||||||||||
Funds | Capital | Value | (Loss) | Fees | Fees | (Loss) | Objective | Permitted | ||||||||||||||||||||
CMF Winton | 30.84 | % | $ | 51,843,392 | $ | 3,897,530 | $ | 25,209 | $ | 17,001 | $ | 3,855,320 | Commodity Portfolio | Monthly |
March 31, 2022 | For the three months ended March 31, 2022 | |||||||||||||||||||||||||||
% of Partners’ Capital | Fair Value | Income (Loss) | Expenses | Net Income (Loss) | Investment Objective | Redemptions Permitted | ||||||||||||||||||||||
Funds | Clearing Fees | Professional Fees | ||||||||||||||||||||||||||
CMF Winton | 32.41 | % | $ | 51,119,640 | $ | 9,038,874 | $ | 45,572 | $ | 17,000 | $ | 8,976,302 | Commodity Portfolio | Monthly | ||||||||||||||
December 31, 2021 | For the three months ended March 31, 2021 | |||||||||||||||||||||||||||
% of Partners’ Capital | Fair Value | Income (Loss) | Expenses | Net Income (Loss) | Investment Objective | Redemptions Permitted | ||||||||||||||||||||||
Funds | Clearing Fees | Professional Fees | ||||||||||||||||||||||||||
CMF Winton (a) | 30.18 | % | $ | 41,318,675 | $ | 2,727,609 | $ | 37,920 | $ | 13,287 | $ | 2,676,402 | Commodity Portfolio | Monthly |
June 30, 2022 | For the six months ended June 30, 2022 | |||||||||||||||||||||||||||
% of | Expenses | Net | ||||||||||||||||||||||||||
Partners’ | Fair | Income | Clearing | Professional | Income | Investment | Redemptions | |||||||||||||||||||||
Funds | Capital | Value | (Loss) | Fees | Fees | (Loss) | Objective | Permitted | ||||||||||||||||||||
CMF Winton | 30.84 | % | $ | 51,843,392 | $ | 12,936,404 | $ | 70,781 | $ | 34,001 | $ | 12,831,622 | Commodity Portfolio | Monthly |
December 31, 2021 | For the three months ended June 30, 2021 | |||||||||||||||||||||||||||
% of | Expenses | Net | ||||||||||||||||||||||||||
Partners’ | Fair | Income | Clearing | Professional | Income | Investment | Redemptions | |||||||||||||||||||||
Funds | Capital | Value | (Loss) | Fees | Fees | (Loss) | Objective | Permitted | ||||||||||||||||||||
CMF Winton (a) | 30.18 | % | $ | 41,318,675 | $ | 2,382,097 | $ | 36,343 | $ | 7,110 | $ | 2,338,644 | Commodity Portfolio | Monthly |
December 31, 2021 | For the six months ended June 30, 2021 | |||||||||||||||||||||||||||
% of | Expenses | Net | ||||||||||||||||||||||||||
Partners’ | Fair | Income | Clearing | Professional | Income | Investment | Redemptions | |||||||||||||||||||||
Funds | Capital | Value | (Loss) | Fees | Fees | (Loss) | Objective | Permitted | ||||||||||||||||||||
CMF Winton (a) | 30.18 | % | $ | 41,318,675 | $ | 5,109,706 | $ | 74,263 | $ | 20,397 | $ | 5,015,046 | Commodity Portfolio | Monthly |
(a) | On January 1, 2021, the Partnership invested into CMF Winton. |
8. | Subsequent Events: |
June 30, 2022 | March 31, 2022 | |||||||||||||||||||||||||||||||
(percentage of | (percentage of | |||||||||||||||||||||||||||||||
Advisor | March 31, 2022 | March 31, 2022 (percentage of Partners’ Capital) | December 31, 2021 | December 31, 2021 (percentage of Partners’ Capital) | June 30, 2022 | Partners’ Capital) | March 31, 2022 | Partners’ Capital) | ||||||||||||||||||||||||
Campbell | $ | 33,064,397 | 21% | $ | 30,131,735 | 22% | $ | 37,950,853 | 23% | $ | 33,064,397 | 21% | ||||||||||||||||||||
EMC | 12,985,543 | 8% | 12,171,817 | 9% | 14,262,490 | 8% | 12,985,543 | 8% | ||||||||||||||||||||||||
Graham | 47,672,295 | 30% | 40,036,445 | 29% | 51,124,592 | 30% | 47,672,295 | 30% | ||||||||||||||||||||||||
WCM | 51,658,715 | 33% | 41,351,677 | 30% | 51,882,904 | 31% | 51,658,715 | 33% | ||||||||||||||||||||||||
Unallocated | 12,346,997 | 8% | 13,218,988 | 10% | 12,888,181 | 8% | 12,346,997 | 8% |
June 30, 2022 | June 30, 2022 | |||||||||||||||||||
% of Total | ||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | Value at Risk | Capitalization | ||||||||||||||||
Currencies | $ | 7,246,337 | 4.60 | % | $ | 6,467,358 | 3.85 | % | ||||||||||||
Energy | 1,611,013 | 1.02 | 2,222,725 | 1.32 | ||||||||||||||||
Grains | 1,693,793 | 1.07 | 793,945 | 0.47 | ||||||||||||||||
Indices | 2,778,401 | 1.76 | 3,517,930 | 2.09 | ||||||||||||||||
Interest Rates U.S. | 1,084,643 | 0.69 | 963,375 | 0.57 | ||||||||||||||||
Interest Rates Non-U.S. | 1,246,786 | 0.79 | 1,496,371 | 0.89 | ||||||||||||||||
Livestock | 98,340 | 0.06 | 167,475 | 0.10 | ||||||||||||||||
Metals | 787,282 | 0.50 | 1,974,661 | 1.18 | ||||||||||||||||
Softs | 757,141 | 0.48 | 792,932 | 0.47 | ||||||||||||||||
Total | $ | 17,303,736 | 10.97 | % | $ | 18,396,772 | 10.94 | % | ||||||||||||
December 31, 2021 | December 31, 2021 | |||||||||||||||||||
% of Total | ||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | Value at Risk | Capitalization | ||||||||||||||||
Currencies | $ | 9,938,577 | 7.26 | % | $ | 9,938,577 | 7.26 | % | ||||||||||||
Energy | 1,962,300 | 1.43 | 1,962,300 | 1.43 | ||||||||||||||||
Grains | 895,075 | 0.65 | 895,075 | 0.65 | ||||||||||||||||
Indices | 5,607,494 | 4.10 | 5,607,494 | 4.10 | ||||||||||||||||
Interest Rates U.S. | 880,975 | 0.64 | 880,975 | 0.64 | ||||||||||||||||
Interest Rates Non-U.S. | 1,964,317 | 1.43 | 1,964,317 | 1.43 | ||||||||||||||||
Livestock | 107,098 | 0.08 | 107,098 | 0.08 | ||||||||||||||||
Metals | 1,612,016 | 1.18 | 1,612,016 | 1.18 | ||||||||||||||||
Softs | 1,148,256 | 0.84 | 1,148,256 | 0.84 | ||||||||||||||||
Total | $ | 24,116,108 | 17.61 | % | $ | 24,116,108 | 17.61 | % | ||||||||||||
June 30, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2022 | Three Months Ended June 30, 2022 | |||||||||||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk* | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk* | ||||||||||||||||||||||||||||||
Currencies | $ | 5,666,860 | 3.59 | % | $ | 9,072,484 | $ | 4,447,945 | $ | 7,072,953 | $ | 4,668,415 | 2.78 | % | $ | 6,860,344 | $ | 482,032 | $ | 4,504,697 | ||||||||||||||||||||
Energy | 1,014,200 | 0.64 | 2,495,372 | 969,144 | 1,765,644 | 1,719,860 | 1.02 | 1,900,943 | - | 1,449,394 | ||||||||||||||||||||||||||||||
Grains | 1,286,439 | 0.82 | 1,286,439 | 577,001 | 797,020 | 644,641 | 0.38 | 1,279,618 | 644,641 | 954,445 | ||||||||||||||||||||||||||||||
Indices | 2,169,122 | 1.38 | 4,688,569 | 1,418,059 | 2,702,556 | 2,689,419 | 1.60 | 3,298,082 | 693,739 | 2,515,726 | ||||||||||||||||||||||||||||||
Interest Rates U.S. | 819,147 | 0.52 | 1,156,397 | 477,556 | 825,084 | 647,262 | 0.38 | 1,163,845 | 506,132 | 768,994 | ||||||||||||||||||||||||||||||
Interest Rates Non-U.S. | 743,876 | 0.47 | 1,928,261 | 705,808 | 1,339,765 | 1,021,990 | 0.61 | 2,072,616 | 677,182 | 1,362,081 | ||||||||||||||||||||||||||||||
Livestock | 38,995 | 0.02 | 65,725 | 23,230 | 43,112 | 46,860 | 0.03 | 66,385 | 4,180 | 40,916 | ||||||||||||||||||||||||||||||
Metals | 330,860 | 0.21 | 1,397,669 | 282,198 | 948,346 | 1,356,259 | 0.81 | 1,356,259 | - | 712,323 | ||||||||||||||||||||||||||||||
Softs | 490,580 | 0.31 | 961,359 | 384,147 | 647,483 | 540,843 | 0.32 | 777,509 | 443,573 | 585,139 | ||||||||||||||||||||||||||||||
Total | $ | 12,560,079 | 7.96 | % | $ | 13,335,549 | 7.93 | % | ||||||||||||||||||||||||||||||||
* | Average of daily Values at Risk. |
December 31, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||
Twelve Months Ended December 31, 2021 | Twelve Months Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk* | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk* | ||||||||||||||||||||||||||||||
Currencies | $ | 8,317,348 | 6.08 | % | $ | 13,635,401 | $ | 4,566,053 | $ | 8,999,297 | $ | 8,317,348 | 6.08 | % | $ | 13,635,401 | $ | 4,566,053 | $ | 8,999,297 | ||||||||||||||||||||
Energy | 1,593,108 | 1.16 | 2,835,997 | 626,844 | 1,922,632 | 1,593,108 | 1.16 | 2,835,997 | 626,844 | 1,922,632 | ||||||||||||||||||||||||||||||
Grains | 665,748 | 0.49 | 1,484,057 | 432,300 | 834,033 | 665,748 | 0.49 | 1,484,057 | 432,300 | 834,033 | ||||||||||||||||||||||||||||||
Indices | 4,644,663 | 3.39 | 8,845,039 | 3,501,465 | 5,836,564 | 4,644,663 | 3.39 | 8,845,039 | 3,501,465 | 5,836,564 | ||||||||||||||||||||||||||||||
Interest Rates U.S. | 771,654 | 0.56 | 2,046,828 | 321,052 | 933,536 | 771,654 | 0.56 | 2,046,828 | 321,052 | 933,536 | ||||||||||||||||||||||||||||||
Interest Rates Non-U.S. | 1,713,543 | 1.25 | 4,518,263 | 1,198,940 | 2,403,480 | 1,713,543 | 1.25 | 4,518,263 | 1,198,940 | 2,403,480 | ||||||||||||||||||||||||||||||
Livestock | 39,970 | 0.03 | 172,920 | - | 56,817 | 39,970 | 0.03 | 172,920 | - | 56,817 | ||||||||||||||||||||||||||||||
Metals | 1,196,578 | 0.88 | 2,352,311 | 750,206 | 1,413,570 | 1,196,578 | 0.88 | 2,352,311 | 750,206 | 1,413,570 | ||||||||||||||||||||||||||||||
Softs | 807,669 | 0.59 | 1,163,097 | 145,390 | 675,120 | 807,669 | 0.59 | 1,163,097 | 145,390 | 675,120 | ||||||||||||||||||||||||||||||
Total | $ | 19,750,281 | 14.43 | % | $ | 19,750,281 | 14.43 | % | ||||||||||||||||||||||||||||||||
* | Annual average of daily Values at Risk. |
June 30, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2022 | Three Months Ended June 30, 2022 | |||||||||||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk* | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk* | ||||||||||||||||||||||||||||||
Currencies | $ | 1,579,477 | 3.09 | % | $ | 2,062,222 | $ | 1,576,894 | $ | 1,835,985 | $ | 1,798,943 | 3.47 | % | $ | 2,446,867 | $ | 1,479,992 | $ | 2,047,067 | ||||||||||||||||||||
Energy | 596,813 | 1.17 | 871,851 | 381,139 | 662,319 | 502,865 | 0.97 | 658,739 | - | 568,427 | ||||||||||||||||||||||||||||||
Grains | 407,354 | 0.80 | 499,620 | 223,584 | 329,408 | 149,304 | 0.29 | 403,507 | 149,304 | 275,501 | ||||||||||||||||||||||||||||||
Indices | 609,279 | 1.19 | 1,084,867 | 573,377 | 734,571 | 828,511 | 1.60 | 885,347 | 237,224 | 656,608 | ||||||||||||||||||||||||||||||
Interest Rates U.S. | 265,496 | 0.52 | 378,025 | 118,450 | 279,772 | 316,113 | 0.61 | 323,070 | 220,427 | 263,225 | ||||||||||||||||||||||||||||||
Interest Rates Non-U.S. | 502,910 | 0.98 | 599,850 | 256,647 | 488,331 | 474,381 | 0.92 | 539,879 | 330,458 | 476,849 | ||||||||||||||||||||||||||||||
Livestock | 59,345 | 0.12 | 77,688 | 38,060 | 57,768 | 120,615 | 0.23 | 120,615 | 30,333 | 73,258 | ||||||||||||||||||||||||||||||
Metals | 456,422 | 0.89 | 642,243 | 422,588 | 535,513 | 618,402 | 1.19 | 618,402 | - | 431,194 | ||||||||||||||||||||||||||||||
Softs | 266,561 | 0.52 | 342,317 | 214,406 | 299,977 | 252,089 | 0.49 | 316,675 | 230,733 | 269,113 | ||||||||||||||||||||||||||||||
Total | $ | 4,743,657 | 9.28 | % | $ | 5,061,223 | 9.77 | % | ||||||||||||||||||||||||||||||||
* | Average of daily Values at Risk. |
December 31, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||
Twelve Months Ended December 31, 2021 | Twelve Months Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk* | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk* | ||||||||||||||||||||||||||||||
Currencies | $ | 1,621,229 | 3.92 | % | $ | 3,262,014 | $ | 1,100,239 | $ | 1,624,292 | $ | 1,621,229 | 3.92 | % | $ | 3,262,014 | $ | 1,100,239 | $ | 1,624,292 | ||||||||||||||||||||
Energy | 369,192 | 0.89 | 887,874 | 206,987 | 605,441 | 369,192 | 0.89 | 887,874 | 206,987 | 605,441 | ||||||||||||||||||||||||||||||
Grains | 229,327 | 0.56 | 559,815 | 74,101 | 239,339 | 229,327 | 0.56 | 559,815 | 74,101 | 239,339 | ||||||||||||||||||||||||||||||
Indices | 962,831 | 2.33 | 1,386,812 | 657,048 | 921,128 | 962,831 | 2.33 | 1,386,812 | 657,048 | 921,128 | ||||||||||||||||||||||||||||||
Interest Rates U.S. | 109,321 | 0.27 | 323,621 | 18,802 | 152,556 | 109,321 | 0.27 | 323,621 | 18,802 | 152,556 | ||||||||||||||||||||||||||||||
Interest Rates Non-U.S. | 250,774 | 0.61 | 887,489 | 172,632 | 402,042 | 250,774 | 0.61 | 887,489 | 172,632 | 402,042 | ||||||||||||||||||||||||||||||
Livestock | 67,128 | 0.16 | 189,970 | 38,473 | 123,981 | 67,128 | 0.16 | 189,970 | 38,473 | 123,981 | ||||||||||||||||||||||||||||||
Metals | 415,438 | 1.01 | 735,993 | 297,131 | 441,668 | 415,438 | 1.01 | 735,993 | 297,131 | 441,668 | ||||||||||||||||||||||||||||||
Softs | 340,587 | 0.82 | 517,670 | 182,078 | 308,123 | 340,587 | 0.82 | 517,670 | 182,078 | 308,123 | ||||||||||||||||||||||||||||||
Total | $ | 4,365,827 | 10.57 | % | $ | 4,365,827 | 10.57 | % | ||||||||||||||||||||||||||||||||
* | Annual average of daily Values at Risk. |
· | pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
· | provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and |
· | provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements. |
Period | Class A (a) Total Number of Units Purchased* | Class A (b) Average Price Paid per Unit** | (c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number (or Approximate Dollar Value) of Units that May Yet Be Purchased Under the Plans or Programs | ||||||||
January 1, 2022 - January 31, 2022 | 66,982.918 | $ | 23.21 | N/A | N/A | |||||||
February 1, 2022 - February 28, 2022 | 46,727.838 | $ | 23.97 | N/A | N/A | |||||||
March 1, 2022 - March 31, 2022 | 95,880.253 | $ | 26.50 | N/A | N/A | |||||||
209,591.009 | $ | 24.88 |
Period | Class A (a) Total Number of Units Purchased* | Class A (b) Average Price Paid per Unit** | (c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number (or Approximate Dollar Value) of Units that May Yet Be Purchased Under the Plans or Programs | ||||||||||||
April 1, 2022 - April 30, 2022 | 72,562.913 | $ | 28.41 | N/A | N/A | |||||||||||
May 1, 2022 - May 31, 2022 | 24,171.500 | $ | 28.15 | N/A | N/A | |||||||||||
June 1, 2022 - June 30, 2022 | 32,010.424 | $ | 28.87 | N/A | N/A | |||||||||||
128,744.837 | $ | 28.48 |
** Redemptions of Units are effected as of the last day of each month at the net asset value per Unit as of that day. |
101.INS Inline XBRL Instance Document. |
101.SCH Inline XBRL Taxonomy Extension Schema Document. |
101.CAL Inline XBRL Taxonomy Extension Calculation Linkbase Document. |
101.LAB Inline XBRL Taxonomy Extension Label Linkbase Document. |
101.PRE Inline XBRL Taxonomy Extension Presentation Linkbase Document. |
101.DEF Inline XBRL Taxonomy Extension Definition Document. |
104. Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). |
CERES CLASSIC L.P. |
By: | Ceres Managed Futures LLC | ||||
By: | /s/ Patrick T. Egan | ||||
Patrick T. Egan | |||||
President and Director | |||||
Date: August 11, 2022 | |||||
By: | /s/ Brooke Lambert | ||||
Brooke Lambert | |||||
Chief Financial Officer | ||||||
Date: |